We find significant forecasting gains over both linear panel and nonlinear time-series models. Containment or lockdown policies, as instigated at the national level by governments, are found to have ...

The Econometrics Journal, Vol. 19, No. 3, RES CONFERENCE 2013: SPECIAL ISSUE ON ECONOMETRICS OF HETEROGENEITY (2016), pp. 261-290 (30 pages) The spatial dynamic panel data (SDPD) model is a standard ...

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high-dimensional setting. The setting allows the number of time-vary ing ...